本文選題：資產(chǎn)定價 + 流動性的波動　； 參考：《天津大學》2012年碩士論文

【摘要】：傳統(tǒng)的流動性資產(chǎn)定價描述的是流動性資產(chǎn)定價的期望方程，，并沒有區(qū)分和刻畫在不同分位數(shù)水平下資產(chǎn)定價機制和差異這就需要在收益率處于不同的分位數(shù)水平下，重新討論資產(chǎn)定價與流動性水平的關系其次，流動性的波動一直困擾著投資者，因為投資者在隨機時間點交易的時候可能關心的不僅僅是流動性的平均水平，還關心流動性的波動分布情況此外2008年金融危機之后資產(chǎn)流動性出現(xiàn)了下滑，股票流動性也出現(xiàn)了明顯的下降，學術界對這兩者是否存在關系也給予極大關注基于此本文展開了三個方面的討論，具體如下： 1.運用分位數(shù)回歸理論再研究流動性與資產(chǎn)定價之間的關系選擇了2007-2010年間深滬兩市A股的上市公司為研究對象，運用分位數(shù)回歸方法對多因素資產(chǎn)定價模型進行回歸檢驗研究結果發(fā)現(xiàn)當收益率處于中高分位水平時，運用非流動性指標去衡量流動性水平，能夠更好的解釋了資產(chǎn)定價包含流動性因子，即非流動性指標越大，相應的流動性水平越差，結果收益率越高而當收益率處于低分位數(shù)水平時，這時候運用換手率這一指標更好，因為低分位數(shù)時，收益率與換手率存在顯著負相關 2.探討流動性的波動之謎利用非流動性測量流動性水平和日內數(shù)據(jù)衡量流動性的波動,選取2000-2010年間深滬兩市A股的上市公司為研究對象，利用Fama-MaBeth回歸法和投資組合分析法對流動性的波動與股票橫截面預期收益率實證研究研究發(fā)現(xiàn)流動性的波動與預期收益率存在正相關關系,但不是很顯著研究表明產(chǎn)生這種現(xiàn)象的原因在于風險規(guī)避投資者認為流動性水平向下側運動,持有流動性的波動較高的股票需要一個風險溢價 3.研究資產(chǎn)流動性與股票流動性的之間的關系通過借助公司財務決策這一橋梁將股票流動性與資產(chǎn)流動性聯(lián)系起來構建理論模型理論模型中得出的結論是兩者是否存在正相關或者負相關取決于參數(shù)的值，另外選取2006-2009年間944家A股上市公司的日內低頻數(shù)據(jù)下非流動性指標來衡量股票流動性和三種資產(chǎn)流動性指標進行實證檢驗實證結果得出它們之間有較顯著的正相關關系與理論模型一致，實證結果還表明，對低成長性和融資環(huán)境較差的企業(yè)，其正相關性更加突出最后利用理論模型揭示了上市公司再融資股票流動性前后變化原因以及現(xiàn)金對公司價值的貢獻
[Abstract]:Traditional liquidity asset pricing describes the expectation equation of liquidity asset pricing, and does not distinguish and depict the asset pricing mechanism and differences under different quantile levels. Re-discuss the relationship between asset pricing and liquidity levels second, volatility of liquidity has been troubling investors, because investors may be concerned with more than just the average level of liquidity when trading at random points in time. Also concerned about the volatility of liquidity. In addition, after the financial crisis of 2008, the liquidity of assets declined and the liquidity of stocks declined markedly. Academic circles also pay great attention to the relationship between the two. Based on this, there are three aspects of the discussion, which are as follows: 1. Using the quantile regression theory to study the relationship between liquidity and asset pricing, the listed companies in Shenzhen and Shanghai stock markets from 2007 to 2010 were selected as the research objects. Using the quantile regression method to test the multi-factor asset pricing model, the results show that when the return rate is in the middle and high quartile level, the illiquidity index is used to measure the liquidity level. It can better explain that asset pricing contains liquidity factor, that is, the larger the illiquidity index, the worse the liquidity level, the higher the return rate is, and when the return rate is at low quantile level, It is better to use the turnover rate at this time, because there is a significant negative correlation between the return rate and the turnover rate at low quartiles. 2. This paper discusses the mystery of liquidity fluctuation using illiquidity measurement and intraday data to measure liquidity fluctuation, and selects listed companies in Shenzhen and Shanghai A stock markets from 2000 to 2010 as the research objects. By using Fama-MaBeth regression and portfolio analysis, the empirical study on the volatility of liquidity and the expected return of the cross-section of the stock shows that there is a positive correlation between the volatility of liquidity and the expected return. But less significant research suggests that the reason for this is that risk-averse investors think liquidity levels move downwards and that holding liquid stocks with higher volatility requires a risk premium. 3. To study the relationship between asset liquidity and stock liquidity. The conclusion in the theoretical model of the relationship between stock liquidity and asset liquidity is whether or not they are by means of the bridge of corporate financial decision. There is a positive correlation or a negative correlation depending on the value of the parameter, In addition, 944 A-share listed companies from 2006 to 2009 were selected to measure the stock liquidity and the three asset liquidity indicators under the intraday low frequency data. The empirical results show that there is a significant positive correlation between them. The relation is consistent with the theoretical model, The empirical results also show that the positive correlation of the firms with low growth and poor financing environment is more prominent. Finally, the reasons for the changes in liquidity of listed companies before and after refinancing and the contribution of cash to the value of the company are revealed by using the theoretical model.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前7條

1 顧乃康;陳輝;;股票流動性與企業(yè)資本結構的決定——基于中國上市公司的經(jīng)驗證據(jù)[J];財經(jīng)研究;2009年08期

2 熊正德;李勝男;;上市公司SEO后業(yè)績變化及其影響因素實證研究[J];當代財經(jīng);2009年02期

3 顧乃康;陳輝;;股票流動性與增發(fā)配股費用——來自中國上市公司的經(jīng)驗證據(jù)[J];當代財經(jīng);2010年02期

4 蘇冬蔚,麥元勛;流動性與資產(chǎn)定價:基于我國股市資產(chǎn)換手率與預期收益的實證研究[J];經(jīng)濟研究;2004年02期

5 吳文鋒,芮萌,陳工孟;中國股票收益的非流動性補償[J];世界經(jīng)濟;2003年07期

6 楊俊龍,郭興義;流動性風險的模型刻劃與中國股市實證分析[J];統(tǒng)計研究;2004年03期

7 李一紅,吳世農(nóng);中國股市流動性溢價的實證研究[J];管理評論;2003年11期

相關博士學位論文 前1條

1 羅登躍;流動性與資產(chǎn)定價：基于中國證券市場的研究[D];天津大學;2007年

本文編號：1942759